public static BondSpreadResult GetSpreads(Symmetry.Data.FIBond bond_, QuoteValueType priceType_, double priceValue_, SwapCurveType curveType_, DateTime asOf_, CarbonClient client_, ThrowBehavior behavior_ = ThrowBehavior.DontThrow)
{
return GetSpreads(
bondType_: OTBondHelper.GetBond(bond_),
maturity_:bond_.FI.Maturity.Value.ToNodaLocalDate(),
issueDate_:bond_.IssueDate.Value.ToNodaLocalDate(),
firstCouponDate_: bond_.Coupon==0 ? bond_.IssueDate.Value.ToNodaLocalDate() : bond_.FirstCouponDate.Value.ToNodaLocalDate(),
priceType_:priceType_,
priceValue_:priceValue_,
coupon_: Convert.ToDouble(bond_.Coupon)/100d,
pricingSetup_: CurveMappings.GetMapping(curveType_),
asOf_: asOf_,
client_: client_,
behavior_: behavior_);
}
public static BondSpreadResult GetSpreads(OTBond bondType_, SwapCurveType curveType_, NodaTime.LocalDate maturity_, NodaTime.LocalDate issueDate_, NodaTime.LocalDate firstCouponDate_, QuoteValueType priceType_, double priceValue_, double coupon_, DateTime asOf_, CarbonClient client_, ThrowBehavior behavior_ = ThrowBehavior.DontThrow)
{
return GetSpreads(
bondType_,
maturity_,
issueDate_,
firstCouponDate_,
priceType_,
priceValue_,
coupon_,
CurveMappings.GetMapping(curveType_),
asOf_,
client_,
behavior_);
}
/// <summary>
/// Calculate the bondspreads for the given bond over the given swap curve
/// </summary>
/// <param name="bond_"></param>
/// <param name="priceType_">either yield or price</param>
/// <param name="priceValue_">if price, then pass 100.3 rather than 1.003</param>
/// <param name="curveType_">the swap curve</param>
/// <param name="country_">JB's country definitions</param>
/// <param name="asOf_">the date of the price. will determine the date of the curves that are used</param>
/// <param name="client_">carbon client to get holidays</param>
/// <param name="quoteSource_">mlp/sym</param>
/// <param name="snapCode_">mlp/nyk/ldn</param>
/// <param name="behavior_">whether you want exceptions to be swallowed or not</param>
/// <returns></returns>
public static async Task<BondSpreadResult> GetSpreads(
Symmetry.Data.FIBond bond_,
QuoteValueType priceType_,
double priceValue_,
SwapCurveType curveType_,
BondAnalytics.Country country_,
DateTime asOf_,
CarbonClient client_,
string quoteSource_,
string snapCode_,
ThrowBehavior behavior_ = ThrowBehavior.DontThrow)
{
try
{
var mapping = CurveMappings.GetMapping(curveType_);
var settleDate = await client_.RollDateAsync(
date: asOf_.Date.ToNodaLocalDate(),
count: country_.SettleDateDays(),
unit: DateUnit.Bd,
convention: BusinessDayConvention.Following,
calendar: country_.OTHolidayCode());
var holidays = CalendarRetriever.GetCalendar(country_.OTHolidayCode(), client_).ToList();
var startDate = bond_.EffectiveDate.Value;
var firstCpnDate = bond_.Coupon==0 ? bond_.IssueDate.Value : bond_.FirstCouponDate.Value;
var maturity = bond_.FI.Maturity;
var coupon = Convert.ToDouble(bond_.Coupon);
// get the persisted discount curves for the fixed and floating legs
var discCurve = SObjectManager.Instance().LoadSObject<DiscountCurve>(new Moniker()
{
Close = snapCode_,
Source = quoteSource_,
Name = KnownCurveHelpers.GetKnownCurveCode(mapping.DiscountCurve),
Type = "discountcurve",
Date = asOf_.Date
});
if (discCurve == null)
{
SLog.log.ErrorFormat("Could not load {0} discount curve from database for {1}", mapping.DiscountCurve, asOf_.Date);
return null;
}
var fcstCurve = SObjectManager.Instance().LoadSObject<DiscountCurve>(new Moniker()
{
Close = snapCode_,
Source = quoteSource_,
Name = KnownCurveHelpers.GetKnownCurveCode(mapping.ForecastCurve),
Type = "discountcurve",
Date = asOf_.Date
});
if (fcstCurve == null)
{
SLog.log.ErrorFormat("Could not load {0} discount curve from database for {1}", mapping.ForecastCurve, asOf_.Date);
return null;
}
double price=0, yield=0;
switch (priceType_)
{
case QuoteValueType.Price:
price = priceValue_;
yield = BondAnalytics.SolveYield(
country: country_,
settleDate: settleDate.ToDateTime(),
cleanPrice: price,
startDate: startDate,
firstCpnDate: firstCpnDate,
maturityDate: maturity.Value,
coupon: coupon,
freq: country_.BondFreq())[0];
break;
case QuoteValueType.Yield:
yield = priceValue_;
price = BondAnalytics.PriceFromYield(
country: country_,
settleDate: settleDate.ToDateTime(),
yield: priceValue_,
startDate: startDate,
firstCpnDate: firstCpnDate,
maturityDate: maturity.Value,
coupon: coupon,
freq: country_.BondFreq())[0];
break;
}
var mms = BondAnalytics.CalcMMS(
startDate: settleDate.ToDateTime(),
maturityDate: maturity.Value,
dctType: mapping.DayCountType,
fixedFreq: (long) mapping.FixedFreq,
floatFreq: (long) mapping.FloatFreq,
discCurveDates: discCurve.AsDoubleArray().SliceColumn(0).Select(DateTime.FromOADate).ToArray(),
discDfs: discCurve.AsDoubleArray().SliceColumn(1),
fcstCurveDates: fcstCurve.AsDoubleArray().SliceColumn(0).Select(DateTime.FromOADate).ToArray(),
fcstDfs: fcstCurve.AsDoubleArray().SliceColumn(1),
holidays: holidays,
stubExpiries: null,
stubTenors: null,
stubValues: null,
fixingTenors: null,
fixings: null,
firstCpnDate: firstCpnDate
);
var truespread = BondAnalytics.SolveZSpread(
country: country_,
settleDate: settleDate.ToDateTime(),
cleanPrice: price,
startDate: startDate,
firstCpnDate: firstCpnDate,
maturityDate: maturity.Value,
coupon: coupon,
freq: country_.BondFreq(),
curveDates: fcstCurve.AsDoubleArray().SliceColumn(0).Select(DateTime.FromOADate).ToArray(),
dfs: fcstCurve.AsDoubleArray().SliceColumn(1),
holidays: holidays);
return new BondSpreadResult
{
Price = price,
Spreads = new BondSpread
{
Yield=yield,
MMS=mms,
TrueSpread=truespread * -1d,
Spread = mms-yield,
}
};
}
catch (Exception ex_)
{
Exceptions.Rethrow("Error calculating bondspread", behavior_, ex_);
return null;
}
}
